STOCK PORTFOLIO OPTIMIZATION IN BULLISH AND BEARISH CONDITIONS USING THE BLACK-LITTERMAN MODEL

Authors

  • Herma Wiharno University of Kuningan
  • Arief Surya Lesmana University of Kuningan
  • Yasir Maulana University of Kuningan
  • Munir Nur Komarudin University of Kuningan

:

https://doi.org/10.9744/jmk.25.2.92-104

Keywords:

Bullish and bearish, optimal portfolio, Black-Litterman model

Abstract

Bullish and bearish phenomena characterize the development of the capital market. Therefore, this study aimed to identify and analyze bullish and bearish conditions in the Indonesian capital market to formulate an optimal portfolio. The sample consisted of 20 selected companies based on their substantial market capitali- zation. The results showed that from January 2011 to December 2020, the capital market experienced 77 bullish and 43 bearish months. The transition probability from bullish to bearish and bearish to bullish state was 15.67% and 56.14%. Furthermore, employing the Markov-switching model for determining market conditions and using the Black-Litterman model for portfolio construction proved advantageous for investors' financial forecasting techniques and their potential to generate valuable insights to create a well-informed portfolio.

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Published

2023-10-20

How to Cite

Wiharno, H. ., Lesmana, A. S., Maulana, Y., & Komarudin, M. N. (2023). STOCK PORTFOLIO OPTIMIZATION IN BULLISH AND BEARISH CONDITIONS USING THE BLACK-LITTERMAN MODEL. Jurnal Manajemen Dan Kewirausahaan, 25(2), 92-104. https://doi.org/10.9744/jmk.25.2.92-104

Issue

Vol. 25 No. 2 (2023): SEPTEMBER 2023

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